UESP claims that the book The Knights of the Nine can be found as Dargor described. http://www.uesp.net/wiki/Skyrim:The_Knights_of_the_Nine
To the OP: I remember this question coming up not too long ago. There are a few different reasons for the Thalmor to target the Knights of the Nine, most but not all of those reasons being religious. As Dargor said, they are the Knights of the Nine, including Talos. Just as importantly, though, the purpose of the order is to protect and preserve the relics of Pelinal, the Shezarrine who was known for single-handedly slaughtering Elves wherever he found them, breaking Ayleid power in the Heartland and having a huge impact in the foundation of the Empire of Men. Regardless of the order's opinion of Talos, their foundation revolves around Pelinal, which is reason enough for the Thalmor to hate them.
And then there's the fact that the Priory of the Nine is extremely close to Cyrodiil's border with Aldmeri Dominion territory, meaning that it represented both a nearby target and a possible threat to the Dominion in general. I can't imagine that they would have just passed it by when they invaded Cyrodiil.